How to run a script when when baking is finished?
Blender currently supports only callbacks for these events:


frame_change_pre, frame_change_post
render_pre, render_post
render_stats
load_pre, load_post
save_pre, save_post


The simplest thing you could do is invoke the appropriate bake operator by a script (the python call is displayed when the mouse pointer is over the back button).

Create a python script e.g.:

bpy.ops.fluid.bake()


and add the code to play a sound from How to play a sound after script finishes?